When I got my shih tzu puppy, he wouldn't stop whining/crying when I put him down in his play pen. Also, he would cry around 3-4 AM, and won't stop till I pick him up. It was like having a newborn baby! lol! I only had 3-4 hours of sleep when I first go him.
I've done some research and even asked many questions here in YA!, and I found that if I pick him up, he would think that crying and whining will make me pick him up. That's not good, coz he'll just get used to it, and he'll think he can get what he wants when he whines.
So, after that, whenever he cries or whines, I ignore him. Sometimes I leave the room. BUT... make sure he's not crying or whining for a reason. Make sure he already ate, drank, etc, and that he's not hurting in any way. Also, make sure they're not cold, or too hot...you know, the basics. ;)
Those can be reasons why he's crying.
If you think he's only crying to get picked up, just ignore him. When you leave the room, make sure you don't leave him alone for too long. Remember, he's just a puppy and still needs supervision. When they are not supervised, having them in a closed area (play pen) or a crate is safer.
I did this to my puppy for about a week, then after that, when I leave the room, he just lays on his bed and wait for me to come back. Even if I'm in my room, he'll just sit quietly and wait for me to pick him up. He got really comfortable inside his pen. It's his home now, and I make sure he feels safe in it.
***EDIT: In the beginning, I didn't like the idea of putting him in a crate all night long, so I let him sleep on my bed. After a few nights, I put him back on his play pen when it's bedtime. Then he stopped crying in the middle of the night! He now sleeps on his own bed and when he does wake up, I could hear him walking around his puppy pad to go potty on his own...then he'll look at me. If he sees that I'm sleeping, he'll just go back to sleep. No more crying. I was so relieved!
Try it! maybe it'll work for you too! But I know you you have two, so it's more difficult.
I hope I helped!
Good luck girl!